MSFT Options History — July 2014 In July 2014, MSFT traded between $41.67 and $44.87. ATM implied volatility averaged 20.2%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.9% (HV 20d: 14.3%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.60.
Notable Days 2014-07-16 : Highest Volume — 605,673 contracts2014-07-21 : Largest IV spike — 26.9% change2014-07-21 : Highest IV Rank — 73.1%2014-07-31 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $43.21 $41.67 $44.87 $41.87 $43.16 Max Pain $42.50 $42.00 $45.00 $45.00 $42.00 ATM IV 20.2% 17.3% 26.5% 20.1% 19.1% Expected Move 5.8% 5.6% 6.0% 5.8% 6.0% HV 20d 14.3% 10.0% 16.8% 13.9% 16.8% HV 60d 14.7% 13.3% 15.5% 15.5% 14.6% IV Rank 35.6% 19.0% 73.1% 35.0% 29.4% IV Percentile 39.3% 13.5% 88.9% 40.1% 32.5% Term Structure -0.4% -2.8% 1.4% -0.3% -0.5% VWIV 20.5% 19.6% 21.5% 20.1% 20.8% Skew 25d 1.1% -1.2% 2.4% 2.1% 0.1% Skew 10d 2.3% -2.1% 5.7% 3.5% 1.1% Call IV 25d 19.9% 17.2% 26.3% 19.7% 19.4% Put IV 25d 21.0% 17.5% 26.4% 21.8% 19.5% Bid-Ask Spread % 11.71 5.01 72.26 6.59 11.12 Gamma HHI 0.18 0.13 0.26 0.16 0.13 Net GEX 129.9M 98.0M 186.1M 106.8M 108.6M Net DEX -3.58B -5.24B -2.78B -2.94B -2.78B Net VEX -13.9M -14.8M -12.7M -14.4M -14.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.60 0.40 0.89 0.47 0.88 Total Volume 220,497.364 62,168 605,673 81,603 192,270 Total OI 2,740,317.136 2,504,405 3,089,329 2,518,029 2,957,655
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-07-01 $41.87 $45.00 20.1% 5.8% 13.9% 35.0% 20.1% 2.1% -0.3% 106.8M -2.94B -14.4M 0.47 6.59 N/A N/A 55,624 25,979 1,469,005 1,049,024 2014-07-02 $41.90 $42.00 19.8% 5.8% 13.9% 33.2% 20.9% 2.4% -0.3% 99.6M -2.97B -14.3M 0.47 7.53 N/A N/A 42,180 19,988 1,476,450 1,061,153 2014-07-03 $41.80 $42.00 20.2% 5.8% 11.8% 35.6% 20.8% 1.9% -0.3% 117.4M -2.90B -14.2M 0.82 7.04 N/A N/A 47,996 39,127 1,485,345 1,062,032 2014-07-07 $41.99 $42.00 20.3% 5.8% 11.6% 36.7% 20.6% 1.9% -0.9% 124.3M -3.08B -13.9M 0.71 6.44 N/A N/A 59,023 42,028 1,471,382 1,033,023 2014-07-08 $41.78 $42.00 20.7% 5.8% 11.6% 38.9% 19.9% 1.8% -0.6% 119.7M -2.89B -14.1M 0.89 6.84 N/A N/A 44,080 39,043 1,485,153 1,056,536 2014-07-09 $41.67 $42.00 20.7% 5.8% 11.6% 39.0% 21.5% 2.0% -1.3% 115.9M -2.82B -14.0M 0.41 6.72 N/A N/A 60,486 24,555 1,501,019 1,073,527 2014-07-10 $41.69 $42.00 20.2% 5.8% 11.3% 36.0% 21.5% 1.9% -0.9% 123.6M -2.87B -14.1M 0.58 7.60 N/A N/A 68,839 40,216 1,526,152 1,078,168 2014-07-11 $42.09 $42.00 19.6% 5.7% 11.3% 32.5% 20.6% 1.5% -0.5% 163.7M -3.30B -13.8M 0.40 7.60 N/A N/A 145,112 58,320 1,539,181 1,076,346 2014-07-14 $42.14 $42.00 19.7% 5.7% 10.0% 32.6% 20.3% 1.7% 0.3% 142.3M -3.31B -14.1M 0.67 5.01 N/A N/A 78,438 52,700 1,547,653 1,059,262 2014-07-15 $42.45 $42.00 19.8% 5.8% 10.1% 33.6% 20.5% 1.5% 0.3% 148.7M -3.51B -14.0M 0.48 8.18 N/A N/A 110,783 53,263 1,549,859 1,077,456 2014-07-16 $44.08 $42.00 21.1% 5.6% 16.4% 41.3% 19.9% 1.4% 0.3% 128.0M -4.73B -13.3M 0.42 6.50 N/A N/A 426,368 179,305 1,588,565 1,097,492 2014-07-17 $44.53 $42.00 22.9% 5.8% 16.6% 51.9% 20.2% 1.0% -0.3% 140.0M -5.12B -13.7M 0.66 7.73 N/A N/A 298,836 196,157 1,701,212 1,171,594 2014-07-18 $44.69 $42.00 20.9% 5.7% 16.4% 39.8% 20.8% 1.4% 1.4% 142.0M -5.24B -12.7M 0.63 7.58 N/A N/A 194,014 121,757 1,746,968 1,232,542 2014-07-21 $44.84 $43.00 26.5% 5.8% 16.4% 73.1% 20.0% 0.1% -1.7% 98.0M -4.11B -12.9M 0.42 20.09 N/A N/A 315,118 132,381 1,480,710 1,026,978 2014-07-22 $44.83 $43.00 25.3% 5.7% 16.4% 66.1% 19.6% 0.3% -2.8% 127.1M -4.29B -13.4M 0.63 72.26 N/A N/A 366,423 230,643 1,638,813 1,095,527 2014-07-23 $44.87 $43.00 18.7% 5.6% 16.0% 27.2% 20.0% -0.3% -0.3% 186.1M -4.36B -13.3M 0.46 11.73 N/A N/A 317,595 145,300 1,816,682 1,224,810 2014-07-24 $44.40 $43.00 17.5% 5.7% 16.8% 20.2% 20.0% 0.3% -0.5% 132.1M -3.82B -13.3M 0.58 10.88 N/A N/A 80,403 46,747 1,834,683 1,242,293 2014-07-25 $44.50 $43.00 17.7% 5.8% 16.3% 21.1% 20.2% 0.2% 0.0% 147.7M -3.88B -14.8M 0.51 10.59 N/A N/A 112,666 57,025 1,851,542 1,237,787 2014-07-28 $43.97 $43.00 17.7% 5.8% 16.8% 21.2% 20.8% -1.2% -0.3% 137.1M -3.37B -14.8M 0.77 9.46 N/A N/A 47,466 36,554 1,792,644 1,068,074 2014-07-29 $43.89 $43.00 17.3% 5.8% 15.9% 19.0% 20.2% 0.5% -0.1% 133.5M -3.33B -14.5M 0.74 10.18 N/A N/A 64,315 47,473 1,806,860 1,079,606 2014-07-30 $43.58 $43.00 17.6% 5.8% 16.2% 20.4% 21.0% 1.7% -0.3% 116.2M -3.10B -13.7M 0.72 9.89 N/A N/A 78,257 56,089 1,825,204 1,091,010 2014-07-31 $43.16 $42.00 19.1% 6.0% 16.8% 29.4% 20.8% 0.1% -0.5% 108.6M -2.78B -14.6M 0.88 11.12 N/A N/A 102,244 90,026 1,852,861 1,104,794
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